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Need for Speed: An Empirical Analysis of Hard and Soft Information in a High Frequency World [Zhang]

May 11, 2012 by mikeohara   Comments (0)

Abstract:
Speed matters for the processing of market relevant information and for stock price discovery. We measure and compare the impact of different types of information events on high-frequency trading (HFT) and non-HFT (NHFT) based on a NASDAQ high-frequency dataset. Information events are categorized into hard quantitative information shocks and soft qualitative shocks. We find that HFT reaction to hard information is stronger and faster than for soft information while NHFT reaction is stronger and slower for soft information. The HFT reaction is also reflected in trading profits: HFT profits after future shocks are short-lived and highest in the short run. On the contrary, VIX and news shocks lead to increasing HFT profits. Furthermore, initiating traders and passive traders complement one another in price discovery: Initiating HFT have a higher influence on short-term price discovery than initiating NHFT and increasingly after hard information shocks. Passive NHFT on the other side have a higher influence in the long run and increasingly after soft information shocks.

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Winning Paper: The NAAIM 2012 Wagner Award for Advances in Active Investment Management

May 11, 2012 by MoneyScience   Comments (0)

The National Association of Active Investment Managers (NAAIM) announced that Gary Antonacci is the 2012 first-place winner of the NAAIM Wagner Award for Advances in Active Investment Management for his paper Momentum Success Factors. In its fourth year, the NAAIM Wagner Award is designed to expand awareness of active investment management techniques and the results of active strategies.read more...

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